The Melbourne-based choreographer's new piece, created for the remarkable architecture of New York Public Library, shows what Rolex's protege scheme is capable of.

On Sunday night the young Australian choreographer Lee Serle premiered his new dance work, POV, in the Astor Hall of the New York Public Library. The work had been made specially for the space: the grid-like patterns of the choreography referenced the marble patterned floor, also bringing a party atmosphere to the Beaux-Arts grandeur of the hall, with its sweeping stone staircase, vaulted ceiling and giant candelabras.

Most of the audience were seated around the edges of the hall, or standing in the upper galleries, but thirty of us were seated on swivel stools in the centre of the space. We'd been put there as kind of stage furniture, fixed points around which the dancers moved, but also as sitting targets for performer-audience interaction. At various points, the dancers engaged us in conversation, sang to us and, in a couple of cases, persuaded us to get off our stools and dance (not me, I hasten to add).

What made the evening unique, however, was not the audience participation but the audience itself. Unlike any experimental dance work I've ever seen, this one had among its first night public Peter Hall, Jessye Norman, Fiona Shaw, Trisha Brown and Brian Eno, with Peter Sellars perched near me on one of the stools. If I found the experience surreal sitting in the middle of it all, Serle as choreographer admitted to me later that he had found it all "pretty intimidating".

This unlikely constellation of stars had been brought together by the Rolex Mentor and Protégé Arts Initiative, a funding scheme set up in 2001 to revive the traditional relationship of master and apprentice by pairing young professionals with established masters and funding them for a year to engage in a shared conversation, creative process or working relationship. The mentors this time were Eno, Sellars, Anish Kapoor, Zhang Yimou and Hans Magnus Enzenbeger. Serle himself, a freelance dancer and choreographer from Melbourne, was paired with veteran choreographer Trisha Brown, co-founder of the experimental '60s dance collective Judson.

It's easy to be overawed by the level of genius that Rolex has managed to harness to this scheme (previous mentors have included William Forsythe, David Hockney, Jessye Norman, Pinchas Zukerman and Martin Scorsese). Easy, too, to feel wary of the kind of wand-waving magic that Rolex can create in the lives of young artists. Yet the scheme is pretty much unique in the funding world, and just as it elicits passionate endorsement from those involved - Sellars wept openly when he spoke of the relationship he'd formed with his Lebanese theatre protege, Maya Zbib - it also raises intriguing issues about the ways in which the arts are best supported.

Serle is based in Melbourne, which for all its thriving dance community remains relatively isolated from the variety of training and performance that's taken for granted in cities like London or New York. That matters: despite the global reach of the internet and YouTube, dance as an art form remains profoundly local, dependent on the physical transmission of knowledge, the hands-on process of teaching. Elements of Brown's style featured significantly in Serle's own training: her through-the-body flow and weight and ease of movement; her emphasis on human simplicity and scale. Yet inevitably it had been diluted though its dispersion through other teachers. He had never seen her work performed live.

The Rolex Initiative funding - no sums are announced publicly, but money is given for seemingly unlimited travel and costs, as well as replacement of lost earnings (plus the mentors get a Rolex watch to keep) - changed everything for Serle. He spent a year in Brown's company, learning and performing her repertory, collaborating in the creation of new choreography, having her in the studio with him as he created his own new work. It was an astonishing, profound absorption in her style and practice, into a history of dance-making that spans fifty years. As he says, "it was like going back to the source".

All Serle learned was evident in POV, which he created partly as homage to Brown: its meticulous structure, its loose, witty movement, its animation of the building all references in her work (Brown, as recent London seasons on the South Bank and at the Barbican have reminded us, was a pioneer of site-specific dance, with pieces like Roof Piece and Walking on the Wall).

But POV was also Serle's own piece, especially in the skill with which he folded an exuberance of physical detail into the linear structure of the dance. Now that he's back in Melbourne, he plans to develop it into a large work. Yet what he will also be bringing back to Melbourne is the body of knowledge he picked up in Brown's studio. Teaching his own dancers and students, Serle can bring the dance community of Melbourne that bit closer to "the source" than it has previously been.

This has also been the case with previous Rolex dance proteges like Junaid Jemal Sendi, who returned to his native Ethiopia after a year with Saburo Teshigawara, and Sang Jijia, who is back choreographing and teaching in China after an inspirational period with William Forsythe in Frankfurt. It was these proteges' good fortune to be chosen for the one-on-one intensity of the Rolex scheme, but their luck was then spread around, often to a degree that it's hard precisely to compute.

For the next funding cycle, the dance mentor will be the Taiwanese choreographer Lin Hwai-min, director of Cloud Gate dance theatre. Lin is likely to have an equally powerful effect - Sylvie Guillem spoke of him reverentially as a "master teacher" while collaborating with him on the choreography for her duet Sacred Monsters with Akram Khan. When I asked Lin how he envisaged his role as mentor, he said he didn't want to have someone coming into his company as Serle did with Brown: he was more interested in having a young choreographer with whom he could talk, exchange ideas. In fact, he laughed, he was seriously considering taking his protege mountain hiking, or on a pilgrimage.

Certainly it's the intensity the Rolex conversations that seems to count most among many of its beneficiaries, as well as the fact that they continue long after the cycle has finished. They multiply, too - creating what Sellars pointed out was an unprecedented global network of artists, larger and freer than any institution.